You can install the official Roku app on an iOS or Android device which includes the ability to "remote listen" to your Roku content on the app, either through the device's own speaker or through an earphone/speaker/etc connected to the phone.
Further Roku has recently added the capability of driving bluetooth audio devices directly, without having to go through Roku app remote listening on a few of their newest devices.
Per the Roku 11.5 announcement on the Roku Blog:
"Bluetooth Private Listening: Pair wireless headphones from the Sound Settings menu to listen to streaming content with Bluetooth Private Listening compatible with the newest Roku Ultra, Roku Streambar, and Roku Streambar Pro."
Note they say the NEWEST models under these product names. For Roku Ultras, that means model number 4800 or higher (check your model number via Settings > System > About).
